Try the following steps with any media player on your device. If the data is on the SD card, copy the file to the device's memory. Then try to play the data. Please note that it is best to use only Mp4 data as a movie. Otherwise there is an alternative with Libertine and the Kodi Mediacenter with effort. You can also try the hint with audio data.

Please NOTE that not all applications can work with the sd-card. I.e. the camera app has a feature for that, but I got frequent crashes with selecting external storage for pictures. This is maybe fixed in the current versions however. BR